A Multivariate Analysis Approach to Forecasts Combination. Application to Foreign Exchange (FX) Markets

• CARLOS G. MATÉ ^[1]
  1. [1] Universidad Pontificia Comillas

     Universidad Pontificia Comillas

     Madrid, España

     
• Localización: Revista Colombiana de Estadística, ISSN-e 2389-8976, ISSN 0120-1751, Vol. 34, Nº. 2, 2011, págs. 347-375
• Idioma: inglés
• Títulos paralelos:
  • Una aproximación a la combinación de pronósticos basada en técnicas de análisis multivariante
• Enlaces
  • Texto completo
• Resumen
  • español

    El cálculo de pronósticos se caracteriza por la disponibilidad de muchos métodos y porque los horizontes de los pronósticos o las predicciones (económicas, tecnológicas, etc.) son cada vez más diferentes. Combinar pronósticos es una metodología adecuada para manejar el escenario anterior, el cual es conceptualmente adecuado para la aplicación de varios métodos de análisis multivariante. Este artículo revisa algunos problemas principales al combinar pronósticos de manera eficiente, empleando el marco del análisis multivariante. En concreto, se propone una metodología para generar pronósticos combinados con un gran número de pronósticos y se analiza una aplicación al mercado de divisas. Se valora la utilidad de esta metodología en finanzas y varios contextos prácticos, abriéndose posibilidades futuras de investigación a otros contextos aplicados, como los mercados de energía.

  • English

    Forecasting is characterized by the availability of a lot of methods and the fact that technological and economic forecast horizons are increasingly more different from each other. Combining forecasts is an adequate methodology for handling the above scenario, which is conceptually suitable for the application of several methods of multivariate analysis. This paper reviews some main problems in combining forecasts efficiently from the multivariate analysis view. In particular, a methodology to produce combined forecasts with a large number of forecasts is proposed. The usefulness of such a methodology is assessed in exchange rates forecasting. Further research is suggested for finance as well as for other practical contexts such as energy markets.

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